Modelling Non-Stationary Multivariate Time Series of Counts via Common Factors

DOI10.1111/rssb.12271zbMath1398.62251OpenAlexW2795304814MaRDI QIDQ4962089

Fangfang Wang, Haonan Wang

Publication date: 30 October 2018

Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/rssb.12271

zbMATH Keywords

generalized linear modelsfactor modelcount time seriespseudolikelihoodeigendecompositiongeneralized auto-regressive conditional heteroscedasticity

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Generalized linear models (logistic models) (62J12)

Related Items (4)

Modelling heavy-tailedness in count time series ⋮ On Generalized Latent Factor Modeling and Inference for High-Dimensional Binomial Data ⋮ Flexible bivariate INGARCH process with a broad range of contemporaneous correlation ⋮ A semiparametric latent factor model for large scale temporal data with heteroscedasticity

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